Exact simulation of tempered stable Ornstein--Uhlenbeck processes
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Publication:5300752
DOI10.1080/00949655.2010.494247zbMATH Open1267.65002OpenAlexW2139935700MaRDI QIDQ5300752FDOQ5300752
Publication date: 28 June 2013
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949655.2010.494247
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Infinitely divisible distributions; stable distributions (60E07) Exact distribution theory in statistics (62E15) Random number generation in numerical analysis (65C10)
Cites Work
- The Monty Python method for generating random variables
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Modelling Cell Generation Times by Using the Tempered Stable Distribution
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- A Method for Simulating Stable Random Variables
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- On some expansions of stable distribution functions
- Exact simulation of IG-OU processes
- Survival models for heterogeneous populations derived from stable distributions
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- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Jumps in intensity models: investigating the performance of Ornstein-Uhlenbeck processes in credit risk modeling
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Cited In (17)
- Simulation of Tempered Stable Lévy Bridges and Its Applications
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- Exact simulation of IG-OU processes
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- Tempered stable Ornstein– Uhlenbeck processes: A practical view
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- Exact pathwise simulation of multi-dimensional Ornstein-Uhlenbeck processes
- Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
- Point process simulation of generalised hyperbolic Lévy processes
- On simulation of tempered stable random variates
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- Inference based on adaptive grid selection of probability transforms
- Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Exact simulation of a truncated Lévy subordinator
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
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